The modified MSA, a gradient flow and convergence
From MaRDI portal
Recommendations
- A modified MSA for stochastic control problems
- A modified method of successive approximations for stochastic recursive optimal control problems
- Convergence of stochastic approximation coupled with perturbation analysis in a class of manufacturing flow control models
- Gradient flows for regularized stochastic control problems
- On the convergence of the Sakawa-Shindo algorithm in stochastic control
Cites work
- \{Euclidean, metric, and Wasserstein\} gradient flows: an overview
- A General Stochastic Maximum Principle for Optimal Control Problems
- A modified method of successive approximations for stochastic recursive optimal control problems
- A modified MSA for stochastic control problems
- A Proof that Artificial Neural Networks Overcome the Curse of Dimensionality in the Numerical Approximation of Black–Scholes Partial Differential Equations
- A stability approach for solving multidimensional quadratic BSDEs
- Adapted solution of a backward stochastic differential equation
- Backward stochastic differential equations. From linear to fully nonlinear theory
- Continuous exponential martingales and BMO
- Continuous-time stochastic control and optimization with financial applications
- Deep learning-based numerical methods for high-dimensional parabolic partial differential equations and backward stochastic differential equations
- DGM: a deep learning algorithm for solving partial differential equations
- Exponential convergence and stability of Howard's policy improvement algorithm for controlled diffusions
- scientific article; zbMATH DE number 3126094 (Why is no real title available?)
- Lectures on BSDEs, stochastic control, and stochastic differential games with financial applications
- Linear Convergence of a Policy Gradient Method for Some Finite Horizon Continuous Time Control Problems
- On a method of successive approximations for the solution of problems of optimal control
- On finite-difference approximations for normalized Bellman equations
- On the convergence of policy iteration for controlled diffusions
- On the convergence rate of approximation schemes for Hamilton-Jacobi-Bellman Equations
- On the policy improvement algorithm in continuous time
- Proof that deep artificial neural networks overcome the curse of dimensionality in the numerical approximation of Kolmogorov partial differential equations with constant diffusion and nonlinear drift coefficients
- The rate of convergence of finite-difference approximations for parabolic bellman equations with Lipschitz coefficients in cylindrical domains
- Unbiased deep solvers for linear parametric PDEs
- Uniform error estimates for artificial neural network approximations for heat equations
Cited in
(2)
This page was built for publication: The modified MSA, a gradient flow and convergence
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6620074)
